python - Calculating Midprice in pandas -


i'm working intraday time , quote data in pandas, , struggling find way calulate weighted mid-price. have data represented 4 dataframes (bid_price, bid_quantity, ask_price, ask_quantity), columns of each dataframe being individual instruments, , index being timestamps. (so single bid price referenced as:

bid_price['aapl'][datetime(2013,1,1,9,30,0,0)]

the midpoint formula wish apply dependent on bid/ask spread of instrument. if current spread wider minimum tick increment, midpoint simple average of bid , ask prices @ moment. if spread equal minimum, midpoint weighted based on bid , ask quantity.

here current code:

def get_midprice(bid_price, bid_quantity, ask_price, ask_quantity, tick_increment=0.01):     if (ask_price - bid_price) > tick_increment:         return (ask_price + bid_price) / 2     else:         return ((bid_price * ask_quantity) + (ask_price * bid_quantity)) / (bid_quantity + ask_quantity)

this works on single datapoint, , on previous version of pandas, worked when passed 4 dataframes. now, 4 dataframes raises exception:

raise valueerror("cannot call bool() on dataframe.") valueerror: cannot call bool() on dataframe.

which believe due change: https://github.com/pydata/pandas/pull/1073

the problem solved looping, on large dataset, slow. there better way?

as tried convey in comments, can't vectorize if branch way you're trying, , while code wouldn't have raised exception in past, wasn't doing want to. that's why arrays (and dataframes) error out instead when bool() called, avoid bug.

one way around an apply-elementwise function built new dataframe applying function on (effectively) zipped corresponding elements. there may one, although haven't used it. (i'd support adding one. it's handy sometimes, , in our homegrown n-dimensional c# library have apply-to-matched-elements function.)

usually when need pre-pandas, computed both branches , combined result (taking advantage of fact false ~ 0 , true ~ 1):

>>> = np.arange(10) >>> > 3 array([false, false, false, false,  true,  true,  true,  true,  true,  true], dtype=bool) >>> w = > 3 >>> (a**2) * w + (1000) * (1-w) array([1000, 1000, 1000, 1000,   16,   25,   36,   49,   64,   81])

but in both numpy , pandas can use where, 1 version of code be:

def get_midprice(bp, bq, ap, aq, ti):      above = (ap + bp)/2     not_above = ((bp*aq) + (ap*bq))/(bq+aq)     use_above = (ap - bp) > ti      combined = not_above.where(use_above, above)      return combined

the downside of approach have compute both branches, , uses bit more memory. in practice seldom causes me problems, ymmv. note 1 minor advantage of using multiplication (even though it's little slower) instead of where it'll work when being passed scalars too.

finally, consider changing format keep information together, possibly using hierarchical multi-index, don't have experience there.


Comments

Post a Comment

Popular posts from this blog

Why does Ruby on Rails generate add a blank line to the end of a file? -

running rails generate controller foo home results in: class foocontroller < application controller def home end end (there's nothing on line in actual file, blank line) is there purpose blank line? it's common use newline indicate end of line, last line. many editors (like vi, use) add in newline silently. consensus text files (especially in unix world) should end in newline, , there have been problems historically if wasn't present. why should text files end newline? the tool used count lines in file "wc" counts newlines in file, without trailing newline show 3 instead of 4. it improves readability of templates used in generator. consider: https://github.com/rails/rails/blob/master/railties/lib/rails/generators/rails/controller/templates/controller.rb to remove trailing newline, template have last line of: end<% end -%> instead of: end <% end -%> that seems less readable me. the discussion below refers
Read more

keyboard - Smiles and long press feature in Android -

i've created android keyboard. how add features inserting smilies, , using long keypresses display symbols? to create long-press behavior allows select several options pop-up menu, follow guide (specifically pop-up menu section): http://developer.android.com/guide/topics/ui/menus.html smileys (also known emoticons) combination of keys, understood programs , parsed same way. have do, when clicks smiley face on keyboard, simulate pressing of key combination matching emoticon. example, when clicks smiley, should simulate key presses ':' , ')' :). here's list of emoticons: http://en.wikipedia.org/wiki/list_of_emoticons
Read more

node.js - Bad Request - node js ajax post -

i'm using express 3.0 , node v0.11.0. have button submits form , i'm using ajax post data json object node server. client code is: $('#contact').submit(function(e) { console.log('submit called'); var formdata = json.stringify($('form').serializeobject()); console.log(formdata); $.ajax({ url: "http://localhost:3000/savedata/", type: "post", datatype: 'json', data: {objectdata: formdata}, contenttype: "application/json", complete: function() { console.log('process complete'); }, success: function(data) { console.log('process sucess'); }, error: function() { console.log('process error'); }, }); return false; }); then on server: var express = require('express'); var app = express(); app.set('views', __dirname + '/views'); app.set('view engine', 'jade'); app.use(express.bodyparser());
Read more